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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/72706


    Title: The Market Reaction around Ex-Dates of Stock Splits Before and After Decimalization
    Authors: 周冠男
    Chou, Robin K.;Lee, Wan-Chen;Chen, Sheng-Syan
    Contributors: 財管系
    Keywords: Stock splits;decimalization;ex-dates
    Date: 2005-08
    Issue Date: 2015-01-08 17:58:11 (UTC+8)
    Abstract: This paper examines the stock price behavior around the ex-split dates both before and after the decimalization on the New York Stock Exchange (NYSE). We find that the abnormal ex-split day returns decrease and the abnormal trading volume increases in the 1/16th and decimal pricing eras, relative to the 1/8th pricing era. These findings are consistent with the microstructure-based explanations for the ex-day price movements. Our study also supports the hypothesis that short-term traders perform arbitrage activities during the ex-split dates when transaction costs become lower after the tick size is reduced.
    Relation: Review of Pacific Basin Financial Markets and Policies, 8(2), 201-216.
    Data Type: article
    Appears in Collections:[Department of Finance] Periodical Articles

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